The interaction between order imbalance and stock price

Pacific Basin Finance Journal

Volumn 5, Issue 5, 1997, Pages 539-557

  Brown, Philip ^a   Walsh, David ^a   Yuen, Andrea ^a  

^a UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

Author keywords

G10; G12; G14; Order imbalance; Stock return; Vector autoregression

Indexed keywords

EID: 0001604588     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-538X(97)00019-X     Document Type: Article

References (25)

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